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Information arrival, interest rate differentials, and yen/dollar exchange rate

✍ Scribed by Yoshihiro Kitamura; Hiroya Akiba


Book ID
113681262
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
148 KB
Volume
18
Category
Article
ISSN
0922-1425

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## Abstract When there is a high concentration of informed yen/dollar traders active in Tokyo, theory suggests that there should be a faster adjustment of the yen/dollar exchange rate to the full‐information level. We exploit the data during a period believed to contain a high concentration of info